Finance

ADI Move Probability $391.56 -14.42 (-3.6%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
51.7%
Stock touched +5.0% ($411.14) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
35.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.48x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.7%
$357.44 — $425.68

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-22.3% to -19.2%: 2 occurrences (0.4%) -20.7% -19.2% to -16.1%: 2 occurrences (0.4%) -16.1% to -13.0%: 11 occurrences (2.2%) -13.0% to -10.0%: 17 occurrences (3.3%) -11.5% -10.0% to -6.9%: 32 occurrences (6.3%) -6.9% to -3.8%: 53 occurrences (10.4%) -3.8% to -0.7%: 91 occurrences (17.9%) -2.3% -0.7% to +2.4%: 81 occurrences (15.9%) +2.4% to +5.4%: 51 occurrences (10.0%) +5.4% to +8.5%: 63 occurrences (12.4%) 7.0% +8.5% to +11.6%: 37 occurrences (7.3%) +11.6% to +14.7%: 27 occurrences (5.3%) +14.7% to +17.8%: 25 occurrences (4.9%) 16.2% +17.8% to +20.8%: 9 occurrences (1.8%) +20.8% to +23.9%: 4 occurrences (0.8%) +23.9% to +27.0%: 4 occurrences (0.8%) 25.5%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 51.7% 35.0% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.9% Adjusts normal bell curve for real-world skewness (0.34) and kurtosis (7.15).
Standard Normal (Black-Scholes / GBM) 57.6% 28.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.2% 38.5% Filters for historical windows that started with volatility similar to current 20-day HV (377 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.0%
  • Recent 20-Day HV: 29.4%
  • Parkinson Intraday Volatility: 28.2%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +13.3%
  • Bottom 10% Move (10th percentile): -7.5%
  • Max Historical Gain (14d): +27.0%
  • Max Historical Loss (14d): -22.3%